Related papers: A Statistical Field Perspective on Capital Allocat…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
Two kinetic exchange models are proposed to explore the dynamics of closed economic markets characterized by random exchanges, saving propensities, and collective transactions. Model I simulates a system where individual transactions occur…
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
The formal study of coalition formation in multi-agent systems is typically realized in the framework of hedonic games, which originate from economic theory. The main focus of this branch of research has been on the existence and the…
Capital allocation principles are used in various contexts in which a risk capital or a cost of an aggregate position has to be allocated among its constituent parts. We study capital allocation principles in a performance measurement…
The sustainability of cooperation is crucial for understanding the progress of societies. We study a repeated game in which individuals decide the share of their income to transfer to other group members. A central feature of our model is…
This article explores dynamic factor allocation by analyzing the cyclical performance of factors through regime analysis. The authors focus on a U.S. equity investment universe comprising seven long-only indices representing the market and…
We study the dynamics of individual agents in some kinetic models of wealth exchange, particularly, the models with savings. For the model with uniform savings, agents perform simple random walks in the "wealth space". On the other hand, we…
We consider a population of agents competing for finite resources using strategies based on two channels of signals. The model is applicable to financial markets, ecosystems and computer networks. We find that the dynamics of the system is…
In any ecosystem, the conditions of the environment and the characteristics of the species that inhabit it are entangled, co-evolving in space and time. We introduce a model that couples active agents with a dynamic environment, interpreted…
We discuss a model of an economic community consisting of $N$ interacting agents. The state of each agent at any time is characterized, in general, by a mixed strategy profile drawn from a space of $s$ pure strategies. The community evolves…
We study the role of active and passive investors in an investment market with uncertainties. Active investors concentrate on a single or a few stocks with a given probability of determining the quality of them. Passive investors spread…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
The coordination of actions and the allocation of profit in supply chains under decentralized control play an important role in improving the profits of retailers and suppliers in the chain. We focus on supply chains under decentralized…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…